Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0133
Annualized Std Dev 0.2604
Annualized Sharpe (Rf=0%) 0.0512

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1838
Quartile 1 -0.0068
Median 0.0007
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0077
Maximum 0.1948
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0006
Variance 0.0003
Stdev 0.0164
Skewness -0.7947
Kurtosis 16.7185

Downside Risk

Close
Semi Deviation 0.0122
Gain Deviation 0.0112
Loss Deviation 0.0139
Downside Deviation (MAR=210%) 0.0166
Downside Deviation (Rf=0%) 0.0121
Downside Deviation (0%) 0.0121
Maximum Drawdown 0.8041
Historical VaR (95%) -0.0237
Historical ES (95%) -0.0405
Modified VaR (95%) -0.0248
Modified ES (95%) -0.0480
From Trough To Depth Length To Trough Recovery
2007-02-26 2009-03-09 NA -0.8041 3543 513 NA
2002-05-07 2002-10-10 2003-11-28 -0.4428 396 110 286
2000-09-15 2000-12-20 2002-03-07 -0.2778 367 68 299
2006-05-11 2006-06-13 2006-11-22 -0.1889 137 23 114
2004-02-18 2004-05-10 2004-11-08 -0.1854 184 58 126

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.8 -1.2 0 -0.7 -1.5 1.1 1.1 1.9 0 0.8 0 -1.4 -0.7
2000 -1.6 0 -0.6 3.2 0.3 -0.6 3 1.1 2.4 0.6 2.5 2.2 13.1
2001 0.6 -1.9 -0.7 2.5 0.3 0.4 1.4 1.9 0.8 1.5 -0.2 2.9 9.9
2002 -0.9 -0.5 -1.2 1.3 -0.4 -0.7 -2 0.9 4.2 0.2 -0.3 -1.2 -0.6
2003 0.2 0.1 0.8 -0.2 2.4 -0.1 -0.7 1.8 1.5 0.8 0.8 0 7.5
2004 -0.3 0.4 0.8 -0.7 1.2 -1 0.6 0.5 1.5 -0.7 -1.2 0.9 1.9
2005 0.7 0.6 -1 0.4 0.5 0.3 -0.6 -2.1 0.3 -0.4 2.2 -0.4 0.4
2006 0.5 1.5 1.3 0.5 -0.4 1 -1 -2.4 -0.5 -0.1 -0.8 0.7 0.2
2007 0.8 -2.7 0.2 -1.3 1.2 -0.7 -0.9 0.5 1.4 -2.5 1.1 1 -2
2008 2.3 -2.8 4.1 1.2 1.5 -0.9 -0.4 -0.4 2.1 5.1 -4.7 3.7 11
2009 0.2 -4.1 1.4 0.3 6.2 1.2 0.3 -1.1 -2.6 -3.3 0.9 -0.4 -1.4
2010 2.1 2 0.7 -2.4 -2.5 -1.2 0.9 3.9 0.1 -0.8 1.9 0 4.6
2011 2 -1.6 0.3 0.2 -2.2 0.6 0.5 -3 -2.1 -3.4 0.6 0.2 -7.7
2012 0.9 0.3 -1.2 -0.2 -2.3 1.2 -0.9 0.2 -0.4 1.2 -0.5 2.8 1
2013 0.6 -0.2 -1 -1.1 -1.2 0.6 1 -0.8 0.9 -0.2 0.3 0.1 -1
2014 -1.1 0.1 1.5 -0.4 0.1 1 -0.7 0.1 -1.1 2.1 -1.7 0.1 0
2015 -1 0.2 -0.4 0.2 0.6 0.5 0.7 -1.9 -0.9 0.4 0.5 0.1 -1
2016 0.5 2.3 0.4 -0.9 0.5 1.2 -0.4 -1 1.2 -1.1 -0.7 0 1.9
2017 0.1 0.9 0.4 1 1.6 0.5 -0.7 0.8 1.3 -0.7 0.1 -0.1 5.3
2018 0.2 -0.9 0.6 -0.3 0.8 0.4 -0.2 0.7 -0.9 2.5 0.6 1 4.6
2019 0.5 0.5 0.5 -0.1 -1.2 0.2 -1.1 0.3 -2.1 0.7 0.1 0.5 -1.4
2020 -2.2 -2.1 -7.9 -3.6 1.4 -0.3 -0.7 0.9 1.2 -1.8 1.4 0 -13.3
2021 2.9 3.4 0.4 NA NA NA NA NA NA NA NA NA 6.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  8.81 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  8.81 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  9    SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  8.88 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  8.81 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  8.81 SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart